Pricing credit default swaps with bilateral value adjustments
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Publication:2879019
DOI10.1080/14697688.2013.828239zbMATH Open1294.91183arXiv1207.6049OpenAlexW2061225585MaRDI QIDQ2879019FDOQ2879019
Authors: Ioana Savescu, Alexander Lipton 
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Abstract: A three-dimensional extension of the structural default model with firms' values driven by correlated diffusion processes is presented. Green's function based semi-analytical methods for solving the forward calibration problem and backward pricing problem are developed. These methods are used to analyze bilateral counterparty risk for credit default swaps and evaluate the corresponding credit and debt value adjustments. It is shown that in many realistic cases these value adjustments can be surprisingly large.
Full work available at URL: https://arxiv.org/abs/1207.6049
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Cited In (15)
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- A counterparty valuation adjustment calculation model of multi-counterparties credit default swap
- Structural default model with mutual obligations
- Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation
- On the first hitting time density for a reducible diffusion process
- CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL
- Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling
- Efficient solution of structural default models with correlated jumps and mutual obligations
- A stochastic partial differential equation model for the pricing of mortgage-backed securities
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
- NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS
- Counterparty risk pricing: impact of closeout and first-to-default times
- Credit default swaps with and without counterparty and collateral adjustments
- Pricing of swaps with default risk
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